I want to create a .bat file so I can just click on it so it can run:
svcutil.exe /language:cs /out:generatedProxy.cs /config:app.config http://localhost:800
What's stopping you?
Put this command in a text file, save it with the .bat (or .cmd) extension and double click on it...
Presuming the command executes on your system, I think that's it.